Thu, Oct 27, 2016
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers April 2012

Peter Urbani' Statistics
Peter Urbani's quantitative analysis of emerging managers' performance

Performance Drivers of the Opalesque Emanagers Index

This month we examine the performance drivers of the Emerging Managers Index by treating it as if it were a portfolio or fund of funds and performing an attribution analysis on the constituent sub-indices mapped to the Dow Jones Credit Suisse Hedge Fund Strategies.

The results are instructive and give a fairly clear indication as to where the excess performance of the Emanagers Index has come from.

Over the 3.25 year period since Jan 2009 the Emanagers index has delivered a +14.7% compound annual return (CAGR ) versus the +8.91% of the benchmark Dow Jones Credit Suisse Blue Chip Hedge Fund Index.

To the extent that the Index is a semi-passive portfolio whose Strategy Asset Allocation is largely determined by market forces one might expect that there would be a significant Allocation or market timing effect driving returns. However, this is not the case for the Emanagers Index and the allocation effects relative to the benchmark portfolio are in fact -1.74% p.a. This probably reflects the lagged momentum effect of new funds being launched in recently strong performing areas.

In contrast the Selection effect is +4.18% p.a. suggesting a high quality of funds coming into the index and that it is not merely dominated by past winners.

The Emanagers index has significantly higher weightings to Managed Futures ( 30.4% v.s. 16.4), Equity L/S ( 33.9% v.s. 15.9%) and significantly lower weightings in Event Driven ( 3.5% v.s. 21.4%) and Emerging Markets ( 0% ) and Convertible Arbitrage.


Emerging Manager Strategy weights versus Benchmark


To view our full article please login

This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.
New Managers
New Managers
New Managers

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  2. David Einhorn speaks on passive investing, Mylan, his cheapest stock, the Fed[more]

    From Greenlight Capital hedge fund manager David Einhorn (Trades, Portfolio) joined nine other famed investors on Tuesday to talk about stocks at the annual Great Investors’ Best Ideas Investment Symposium in Dallas. Presenters at the annual conference typically pitch one or severa

  3. Investing - Fund set up to buy illiquid hedge fund stakes finds plenty of opportunities, Lansdowne's Roden says likes animal genetics company Genus[more]

    Fund set up to buy illiquid hedge fund stakes finds plenty of opportunities From As ValueWalk reported back in February, earlier this year Andrew Lawrence set out to raise $250 million to $500 million for a fund that will buy stakes in hedge funds that have suspended redem

  4. Other Voices: Follow the advice of investment consultants - I think not[more]

    Mark Rzepczynski, Founding Partner, Chief Investment Officer AMPHI Research and Trading, writes on Harvest Exchange: Investment consultants are a force to the reckoned with in the pension world. They advise and drive many pension decisions around the globe. Consultants literally control trillion

  5. Opalesque Roundtable: Style drift, poor communications and credibility fatigue are biggest red flags for hedge funds investors[more]

    Komfie Manalo, Opalesque Asia: Style drift, poor communications and credibility fatigue are the biggest red flags for hedge funds investors, said participants of the latest 2016 Opalesque Investor Roundtable, sponso